Exponential convergence of the Kalman filter based parameter estimation algorithm

DOI10.1002/ACS.774MaRDI QIDQ4452386zbMATH OpenOpenAlexFDO

Authors Liyu Cao, Howard M. Schwartz

Publication date 12 February 2004

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/acs.774

zbMATH Keywords

Kalman filterconvergence ratelinear systemsexponential convergencerecursive parameter estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• Matrix Analysis

Cited in

(13)

• Convergence results for the Gaussian mixture implementation of the extended-target PHD filter and its extended Kalman filtering approximation
• Uniform observability and exponential convergence rate of the Kalman filter for the FIR deconvolution problem.
• CONVERGENCE ANALYSIS OF EXTENDED KALMAN FILTER IN A NOISY ENVIRONMENT THROUGH DIFFERENCE EQUATIONS
• Convergence of discrete-time Kalman filter estimate to continuous time estimate
• Gradient descent in the absence of global Lipschitz continuity of the gradients
• Online stochastic convergence analysis of the Kalman filter
• Characterization of Exponential Divergence of the Kalman Filter for Time-Varying Systems
• scientific article; zbMATH DE number 2048377 (Why is no real title available?)
• A recursive parameter estimator yielding exponential convergence under sufficient excitation
• Analysis of the Kalman filter based estimation algorithm: An orthogonal decomposition approach.
• Comparison of the convergence rates of the new correntropy-based Levenberg-Marquardt (CLM) method and the fixed-point maximum correntropy (FP-MCC) algorithm
• Kalman filter-based identification for systems with randomly missing measurements in a network environment
• Kalman filter-based adaptive control for networked systems with unknown parameters and randomly missing outputs

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